Jonathan Jordan (joint with Neil O'Connell): Random hierarchical systems 2002
Nicolas Victoir (joint with Terry Lyons): Cubature on Wiener space 2003
Naomi Wallner: Modelling correlated default and pricing of CDOs 2004
John Moriaty: Queues, directed percolation and directed polymers 2005
Florian Huehne: Levy processes and their chaos expansions in finance 2005
Tino Kluge (joint with Sam Howison): Modelling and pricing in electricity markets 2006
David Croydon: Random fractal dendrites 2006
Simona Svoboda: Volatility specifications in the Libor market model 2007
Daniel Miao: Markov modulated Poisson processes in credit risk modelling 2008
Liza Jones: Non-colliding particle systems and interacting diffusions 2008
Silja Kinnebrock (joint with Neil Shephard): Asymptotics for semimartingales and related processes with applications in econometrics 2008
Nikolay Aleksandrov: Multiple optimal stopping. Applications in option pricing, liquidation in bond markets and oil extraction 2009
Lei Jin: Particle systems and SPDEs with applications in portfolio credit modelling 2010
Stephen Buckley: Some problems in random walk in random environment 2011
Alice Dub: Large markets: Asymptotic arbitrage and portfolio optimization 2016
Ferhana Ahmad: A stochastic partial differential equation approach to mortgage backed securities 2012
Nic Freeman (joint with Alison Etheridge): The segregated lambda-coalescent 2012
Philippe Charmoy: On the geometric and analytic properties of some random fractals 2014
Sean Ledger: Particle systems and stochastic PDEs on the half-line 2015
James Newbury: Limit order books, diffusion approximations and reflected SPDEs: from microscopic to macroscopic models 2016
Guy Flint (joint with Terry Lyons): Discrete approximations in stochastic rough path theory 2016
Weiye Yang: Stochastic analysis and stochastic pdes on fractals 2018
Nikos Kolliopoulos: Analysis of Stochastic PDEs arising from large portfolios of stochastic volatility models 2018
Jasdeep Kalsi: Moving boundary problems for reflected SPDEs 2019
Andreas Sojmark: Contagious McKean-Vlasov systems with positive feedback 2019
Avi Mayorcas: Stochastic PDEs and weakly interacting particle systems 2020
Huining Yang: Policy gradient methods for linear quadratic problems 2022
Julian Meier: Particle systems on the positive half-line under different boundary conditions 2023
Aldair Petronilia (joint with Christoph Reisinger): Contagious McKean-Vlasov systems with resets: Integrate-and-fire neuron models with common noise 2024
Philipp Jettkant: Optimal control of McKean-Vlasov SDEs with killing 2024
Fabrice Wunderlich (joint with Andeas Sojmark): On the weak convergence of stochastic integrals on Skorokhod space: General theory and its application within the realm of continuous time random walks 2024
Thomas Groves
Shyam Popat (joint with Ben Fehrman)
Jason Rader (joint with Terry Lyons)
Thomas Blore